The Low Beta Anomaly: A Decomposition into Micro and Macro Effects

DSpace/Manakin Repository

The Low Beta Anomaly: A Decomposition into Micro and Macro Effects

Citable link to this page

 

 
Title: The Low Beta Anomaly: A Decomposition into Micro and Macro Effects
Author: Baker, Malcolm P.; Bradley, Brendan; Taliaferro, Ryan

Note: Order does not necessarily reflect citation order of authors.

Citation: Baker, Malcolm, Brendan Bradley, and Ryan Taliaferro. "The Low Beta Anomaly: A Decomposition into Micro and Macro Effects." Financial Analysts Journal (forthcoming).
Full Text & Related Files:
Abstract: Low beta stocks have offered a combination of low risk and high returns. We decompose the anomaly into micro and macro components. The micro component comes from the selection of low beta stocks. The macro component comes from the selection of low beta countries or industries. The two parts both contribute to the low beta anomaly, with important implications for the construction of managed volatility portfolios.
Other Sources: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=2210003
Terms of Use: This article is made available under the terms and conditions applicable to Open Access Policy Articles, as set forth at http://nrs.harvard.edu/urn-3:HUL.InstRepos:dash.current.terms-of-use#OAP
Citable link to this page: http://nrs.harvard.edu/urn-3:HUL.InstRepos:11130436
Downloads of this work:

Show full Dublin Core record

This item appears in the following Collection(s)

 
 

Search DASH


Advanced Search
 
 

Submitters